RSI strategy optimization

[dannylei]

Hello,

I am trying to run a strategy optimization based on the Relative Strength Index. Once the index is above the Overbought line, the strategy closes my long position. I would like to be able to optimize this strategy by waiting to see if the instrument goes further up another 10 points, 20, 30, and so forth, once it crosses the overbought line, instead of just closing the position when it crosses the first time.

At the moment, my NinjaScript Editor has a condition where if RSI >= Overbought, then close long position. How could I set up my strategy to have it place an order at the closing price + X aditional points once the RSI is over, and have the backtest continue whether the order was filled or not?

An help will be greatly appreciated.

Best regards,

Danny Lei

[NinjaTrader_PatrickH]

Hello Danny Lei,

Thank you for your post and welcome to the NinjaTrader Support Forum!

You would create a user defined parameter that would be used in the condition as the following:

			if(RSI(12, 1)[0] >= Overbought + TickSize*(offSet * (Instrument.MasterInstrument.PointValue / (Instrument.MasterInstrument.PointValue * TickSize))))
			{
				// do something
			}

Where offSet is your user defined parameter that can be optimized. For more information please visit the following link: http://www.ninjatrader.com/support/f...ead.php?t=5782

The equation I use, TickSize*(offSet * (Instrument.MasterInstrument.PointValue / (Instrument.MasterInstrument.PointValue * TickSize))), takes the value of the point and divides it by the tick size to get the value per tick, then we divide the point value by the tick value to determine the ticks per point, and finally multiply our offSet value by the ticks per point and then multiply again by the tick size to get the desired offset based on the point value.